Someone pointed out that one of the lions has a heart-shaped nose, just like Lion. It's possible that Rose modified an actual lion somehow and gave it powers...maybe she merged it successfully with one of Pink Diamond's shards? She then kept the lions away from the Crystal Gems in the desert, and that's where they found Lion. Either way, there's definitely a reason the episode started with Lion; he opens the episode so that viewers can infer that there's an important reason why Rose was hanging around lions in the desert.
Also, this is the second straight episode with fourth-wall breaks: one with Steven looking directly at the camera when he says "Yes. Definitely." and that hilarious one of Rose looking at the "reader" like it was some PSA cartoon, followed by Buddy looking around all confused.
Finally, the Gem's old-timey outfits are the same as the ones seen in this painting, with the exception of Rose:
http://65.media.tumblr.com/17d42b99e6fb06f25db244579ef534d8/tumblr_n1rhd8QCfd1t5u6j6o2_r1_1280.png